Bohl, Martin T.; Essid, Badye; Siklos, Pierre L. - In: The Quarterly Review of Economics and Finance 52 (2012) 2, pp. 198-206
Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … framework due to the length of time the short selling ban was in place there. Estimating several variants of an asymmetric GARCH … model and a Markov switching GARCH model we find robust evidence that short selling restrictions raise stock returns …